First install a "Full installation" of MinGW-4.1.1.exe
with all default settings. Then install MSYS-1.0.10.exe.
Use "C:\mingw\1.0" as the installation directory. Use these answers
for the post-installation process:

Do you wish to continue with the post install? [yn ] -> y
Do you have MinGW installed? [yn ] -> y
Where is your MinGW installation? -> c:/MinGW

Save clisp-2.38.tar.gz,
clisp-2.38.patch and libsigsegv-2.2.tar.gz
in the directory C:\mingw\1.0 (note: Internet Explorer wants to change the name
"libsigsegv-2.2.tar.gz" to "libsigsegv-2.2.tar.tar", change
this to "libsigsegv-2.2.tar.gz"), start MinGW (Start Menu->MinGW->MSYS->msys)
and build it. To avoid problems with other applications which have the same
name as MinGW programs, we set the path first (you can use your middle mouse
button, or shift and left button, for pasting text into the MinGW shell window):

The build fails at the first "test" call, if you applied the patch,
because the console-less application doesn't print values to stdout, but the
build of the program istself is completed.

Note: if you don't care that a console window is created whenever you start
a delivered application (see next chapter), you don't need to build your own
Lisp version, but you can download just the official
CLISP release for Windows.

Delivering applications

Then copy the files /clisp-2.38/clisp-gui/full/lisp.exe and /clisp-2.38/clisp-gui/full/lispinit.mem
to your application directory. Create a "hello world" application
in your application directory and save it as message.lisp:

All files in one archive, which you need to buid
your own exe-files. The message program itself is
1.2 mb zipped and can be started standalone, without a DOS console, on every
Windows (I have tested it on Windows 98 and Windows XP). This is the result: